def compute_correlations(start_date, end_date, downsample_days, name,
symbol_file):
log.info("computing %d-day correlations between %s and %s" %
(downsample_days, start_date, end_date))
ndays = (end_date - start_date).days
ts0 = None
for symbol in utils.itersymbols(symbol_file):
ts = load_time_series(symbol,
start_date,
end_date,
downsample_days=downsample_days)
if ts is not None:
if ts0 is None:
ts0 = ts
else:
ts0 = ts0.join(ts)
else:
log.warning("skipping %s because data is not available for %s" %
(symbol, start_date))
#print "*" * 40
#print ts
#print ts0
#print "*" * 40
if ts0:
corr = ts0.corr()
filename = "corr_%s_%s_%s-day_%s.csv" % (str(
start_date.date()), str(end_date.date()), downsample_days, name)
corr.to_csv(filename)
log.info("wrote %s" % filename)
#convert_to_excel(filename)
else:
log.warning("no csv file written")
def compute_correlations(start_date, end_date, downsample_days, name, symbol_file):
log.info("computing %d-day correlations between %s and %s" % (downsample_days, start_date, end_date))
ndays = (end_date - start_date).days
ts0 = None
for symbol in utils.itersymbols(symbol_file):
ts = load_time_series(symbol, start_date, end_date, downsample_days=downsample_days)
if ts is not None:
if ts0 is None:
ts0 = ts
else:
ts0 = ts0.join(ts)
else:
log.warning("skipping %s because data is not available for %s" % (symbol, start_date))
#print "*" * 40
#print ts
#print ts0
#print "*" * 40
if ts0:
corr = ts0.corr()
filename = "corr_%s_%s_%s-day_%s.csv" % (str(start_date.date()), str(end_date.date()), downsample_days, name)
corr.to_csv(filename)
log.info("wrote %s" % filename)
#convert_to_excel(filename)
else:
log.warning("no csv file written")
import sys
import argparse
#from http import HTTPClient
import requests
import utils
import datetime
import logging
logging.basicConfig()
log = logging.getLogger()
log.setLevel(logging.INFO)
def fetch_data(symbol):
url = "http://ichart.yahoo.com/table.csv?s=%s&a=00&b=1&c=1980&g=d&ignore=.csv" % symbol
log.info("downloading data for %s" % symbol)
data = requests.get(url).text
filename = "%s.csv" % symbol
with open(filename, "w") as fp:
fp.write(data)
log.info("Wrote file '%s'" % filename)
if __name__ == "__main__":
parser = argparse.ArgumentParser(description='Yahoo! price fetcher')
parser.add_argument('--symbol-file', type=str, default="symbols.txt", help='symbol file name')
args = parser.parse_args()
if os.path.exists(args.symbol_file):
for symbol in utils.itersymbols(args.symbol_file):
fetch_data(symbol)
else:
log.error("can't open %s" % args.symbol_file)
